Forecasting and Monetary Policy Analysis in Low-Income Countries: Food and non-Food Inflation in Kenya
We develop a semi-structural new-Keynesian open-economy model, with separate food and non-food inflation dynamics, for forecasting and monetary policy analysis in low-income countries and apply it to Kenya. We use the model to run several policy-relevant exercises. First, we filter international and...
Gespeichert in:
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2013
|
| Schriftenreihe: | IMF Working Papers
Working Paper No. 13/61 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Zusammenfassung: | We develop a semi-structural new-Keynesian open-economy model, with separate food and non-food inflation dynamics, for forecasting and monetary policy analysis in low-income countries and apply it to Kenya. We use the model to run several policy-relevant exercises. First, we filter international and Kenyan data (on output, inflation and its components, exchange rates and interest rates) to recover a model-based decomposition of most variables into trends (or potential values) and temporary movements (or gaps)-including for the international and domestic relative price of food. Second, we use the filtration exercise to recover the sequence of domestic and foreign macroeconomic shocks that account for business cycle dynamics in Kenya over the last few years, with a special emphasis on the various factors (international food prices, monetary policy) driving inflation. Third, we perform an out-of-sample forecast to identify where the economy-and therefore policy-was likely headed given the inflationary pressures at the end of our sample (2011Q2). We find that while imported food price shocks have been an important source of inflation, both in 2008 and more recently, accommodating monetary policy has also played a role, most notably through its effect on the nominal exchange rate. The model correctly predicted that a policy tightening was required, although the actual interest rate increase was larger. We discuss implications for the use of model-based policy analysis in low income countries |
| Beschreibung: | 1 Online-Ressource (63 p) |
| ISBN: | 1475537441 9781475537444 |
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| 520 | 3 | |a We develop a semi-structural new-Keynesian open-economy model, with separate food and non-food inflation dynamics, for forecasting and monetary policy analysis in low-income countries and apply it to Kenya. We use the model to run several policy-relevant exercises. First, we filter international and Kenyan data (on output, inflation and its components, exchange rates and interest rates) to recover a model-based decomposition of most variables into trends (or potential values) and temporary movements (or gaps)-including for the international and domestic relative price of food. Second, we use the filtration exercise to recover the sequence of domestic and foreign macroeconomic shocks that account for business cycle dynamics in Kenya over the last few years, with a special emphasis on the various factors (international food prices, monetary policy) driving inflation. Third, we perform an out-of-sample forecast to identify where the economy-and therefore policy-was likely headed given the inflationary pressures at the end of our sample (2011Q2). We find that while imported food price shocks have been an important source of inflation, both in 2008 and more recently, accommodating monetary policy has also played a role, most notably through its effect on the nominal exchange rate. The model correctly predicted that a policy tightening was required, although the actual interest rate increase was larger. We discuss implications for the use of model-based policy analysis in low income countries | |
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| owner | DE-20 DE-824 DE-70 DE-155 DE-BY-UBR DE-29 DE-22 DE-BY-UBG DE-473 DE-BY-UBG DE-1102 DE-703 DE-859 DE-706 DE-384 DE-860 DE-19 DE-BY-UBM DE-739 DE-355 DE-BY-UBR DE-Aug4 DE-1049 DE-12 DE-91 DE-BY-TUM |
| owner_facet | DE-20 DE-824 DE-70 DE-155 DE-BY-UBR DE-29 DE-22 DE-BY-UBG DE-473 DE-BY-UBG DE-1102 DE-703 DE-859 DE-706 DE-384 DE-860 DE-19 DE-BY-UBM DE-739 DE-355 DE-BY-UBR DE-Aug4 DE-1049 DE-12 DE-91 DE-BY-TUM |
| physical | 1 Online-Ressource (63 p) |
| psigel | ZDB-1-IMF |
| publishDate | 2013 |
| publishDateSearch | 2013 |
| publishDateSort | 2013 |
| publisher | International Monetary Fund |
| record_format | marc |
| series2 | IMF Working Papers |
| spelling | Andrle, Michal Verfasser aut Forecasting and Monetary Policy Analysis in Low-Income Countries Food and non-Food Inflation in Kenya Andrle, Michal Washington, D.C International Monetary Fund 2013 1 Online-Ressource (63 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 13/61 We develop a semi-structural new-Keynesian open-economy model, with separate food and non-food inflation dynamics, for forecasting and monetary policy analysis in low-income countries and apply it to Kenya. We use the model to run several policy-relevant exercises. First, we filter international and Kenyan data (on output, inflation and its components, exchange rates and interest rates) to recover a model-based decomposition of most variables into trends (or potential values) and temporary movements (or gaps)-including for the international and domestic relative price of food. Second, we use the filtration exercise to recover the sequence of domestic and foreign macroeconomic shocks that account for business cycle dynamics in Kenya over the last few years, with a special emphasis on the various factors (international food prices, monetary policy) driving inflation. Third, we perform an out-of-sample forecast to identify where the economy-and therefore policy-was likely headed given the inflationary pressures at the end of our sample (2011Q2). We find that while imported food price shocks have been an important source of inflation, both in 2008 and more recently, accommodating monetary policy has also played a role, most notably through its effect on the nominal exchange rate. The model correctly predicted that a policy tightening was required, although the actual interest rate increase was larger. We discuss implications for the use of model-based policy analysis in low income countries Online-Ausg Berg, Andrew Sonstige oth Morales, R. Armando Sonstige oth Portillo, Rafael Sonstige oth Vlcek, Jan Sonstige oth http://elibrary.imf.org/view/IMF001/20322-9781475537444/20322-9781475537444/20322-9781475537444.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Andrle, Michal Forecasting and Monetary Policy Analysis in Low-Income Countries Food and non-Food Inflation in Kenya |
| title | Forecasting and Monetary Policy Analysis in Low-Income Countries Food and non-Food Inflation in Kenya |
| title_auth | Forecasting and Monetary Policy Analysis in Low-Income Countries Food and non-Food Inflation in Kenya |
| title_exact_search | Forecasting and Monetary Policy Analysis in Low-Income Countries Food and non-Food Inflation in Kenya |
| title_exact_search_txtP | Forecasting and Monetary Policy Analysis in Low-Income Countries Food and non-Food Inflation in Kenya |
| title_full | Forecasting and Monetary Policy Analysis in Low-Income Countries Food and non-Food Inflation in Kenya Andrle, Michal |
| title_fullStr | Forecasting and Monetary Policy Analysis in Low-Income Countries Food and non-Food Inflation in Kenya Andrle, Michal |
| title_full_unstemmed | Forecasting and Monetary Policy Analysis in Low-Income Countries Food and non-Food Inflation in Kenya Andrle, Michal |
| title_short | Forecasting and Monetary Policy Analysis in Low-Income Countries |
| title_sort | forecasting and monetary policy analysis in low income countries food and non food inflation in kenya |
| title_sub | Food and non-Food Inflation in Kenya |
| url | http://elibrary.imf.org/view/IMF001/20322-9781475537444/20322-9781475537444/20322-9781475537444.xml |
| work_keys_str_mv | AT andrlemichal forecastingandmonetarypolicyanalysisinlowincomecountriesfoodandnonfoodinflationinkenya AT bergandrew forecastingandmonetarypolicyanalysisinlowincomecountriesfoodandnonfoodinflationinkenya AT moralesrarmando forecastingandmonetarypolicyanalysisinlowincomecountriesfoodandnonfoodinflationinkenya AT portillorafael forecastingandmonetarypolicyanalysisinlowincomecountriesfoodandnonfoodinflationinkenya AT vlcekjan forecastingandmonetarypolicyanalysisinlowincomecountriesfoodandnonfoodinflationinkenya |